This paper illustrates the usefulness of resampling-based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...

The main purpose of the paper is to illustrate the use of a dummy variable interpretation of the predictive Chow test against structural change. After describing how the predictive Chow test against structural change in linear regression models can be viewed as a test on the coefficients of a...

In this paper, we consider a linear regression model with Gaussian autoregressive errors of order p = 2, which may be nonstationary. Exact inference methods (tests and confidence regions) are developed for the autoregressive parameters and the regression coefficients. We generalize the method...

Causality analysis in the sense of Wiener-Granger are usually based on a vector autoregressive (VAR) specification of the data-generating process. This is the case in particular for the numerous studies of causality between money and income in macro-economics. Since a VAR specification is...

The purpose of this paper is to study the characteristics of the production process in the Quebec economy. We devote particular attention to two features of the technology: the returns to scale and the substitution possibilities.

In this paper, we consider a gaussian autoregressive model of order p, which may be nonstationary and includes a drift term (where p ≥ 1). Exact inference methods are developed for the autoregressive coefficients. We consider first the problem of testing any hypothesis that fixes the vector of...

In this text, we review recent developments in econometrics from the view-point of statistical test theory. We first review some basic principles of philosophy of science and statistical theory, emphasizng parsimony and falsifiability as criteria for evaluating models, test theory as a...